Typo in solution of Ex 6.21

This forum is to discuss the book "the concepts and practice of mathematical finance" by Mark Joshi.

Typo in solution of Ex 6.21

Postby serapio » Thu Dec 29, 2016 9:43 am

In the third equation in the solution of Ex 6.21 it should read F_T(T) instead of F_TT. The same goes for the beginning of the fourth equation. The volatility at the very end is also wrong and should be \alpha*\sigma instead of \alpha*\sigma*\sqrt{T}.
serapio
 
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